Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.4528 |
| Annualized Std Dev | 0.5153 |
| Annualized Sharpe (Rf=0%) | -0.8789 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2953.0000 |
| NAs | 1.0000 |
| Minimum | -0.2779 |
| Quartile 1 | -0.0168 |
| Median | -0.0024 |
| Arithmetic Mean | -0.0019 |
| Geometric Mean | -0.0024 |
| Quartile 3 | 0.0102 |
| Maximum | 0.3266 |
| SE Mean | 0.0006 |
| LCL Mean (0.95) | -0.0030 |
| UCL Mean (0.95) | -0.0007 |
| Variance | 0.0011 |
| Stdev | 0.0325 |
| Skewness | 0.5426 |
| Kurtosis | 13.3205 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0219 |
| Gain Deviation | 0.0273 |
| Loss Deviation | 0.0225 |
| Downside Deviation (MAR=210%) | 0.0275 |
| Downside Deviation (Rf=0%) | 0.0228 |
| Downside Deviation (0%) | 0.0228 |
| Maximum Drawdown | 0.9993 |
| Historical VaR (95%) | -0.0454 |
| Historical ES (95%) | -0.0719 |
| Modified VaR (95%) | -0.0413 |
| Modified ES (95%) | -0.0413 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2009-07-13 | 2021-03-17 | NA | -0.9993 | 2944 | 2941 | NA |
| 2009-06-29 | 2009-06-29 | 2009-07-02 | -0.0298 | 4 | 1 | 3 |
| 2009-07-06 | 2009-07-06 | 2009-07-07 | -0.0023 | 2 | 1 | 1 |
| 2009-07-08 | 2009-07-09 | 2009-07-10 | -0.0023 | 3 | 2 | 1 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | -1 | -0.2 | 6.9 | 7.2 | 8.3 | -3.4 | 2.8 | 21.8 |
| 2010 | -4.5 | -3 | -2.2 | 5 | 5.3 | 0.8 | -0.2 | -8.7 | -1.3 | 0 | -6.8 | -0.2 | -15.5 |
| 2011 | -4.8 | 4.8 | -1.3 | -0.9 | 6.7 | -4.5 | 1.5 | 3.2 | 7.3 | 8 | -0.1 | 1.1 | 22 |
| 2012 | -2.7 | -2.3 | -1.2 | -2.1 | 7.5 | -7.7 | 0.2 | -1.3 | -0.5 | -3.6 | 0.3 | -5.6 | -18.1 |
| 2013 | -3.1 | -1.1 | 1.1 | 2.7 | 4.2 | -2.7 | -3.5 | 1.1 | -2.3 | -1 | 0.3 | -1.4 | -5.9 |
| 2014 | 1.9 | -0.7 | -1.9 | 0.1 | -0.5 | -2 | 0.9 | -0.8 | 4 | -3.4 | 2 | 3.1 | 2.6 |
| 2015 | 3.9 | 1 | 1.1 | -3.2 | -0.6 | -2.4 | 0.4 | 9.2 | -0.8 | 1.4 | -2.9 | 3 | 9.9 |
| 2016 | -0.1 | -7.4 | -1.8 | 1.5 | -0.7 | -0.5 | 0.3 | 0.1 | -2.3 | 2 | 1.1 | 0.9 | -6.9 |
| 2017 | -0.3 | -4 | 0.7 | -0.6 | -2.3 | -0.5 | -0.6 | -0.5 | -1.1 | -0.4 | 0.6 | 1 | -7.9 |
| 2018 | 0.3 | 4 | -4.2 | -0.4 | -3.2 | -0.2 | 0.6 | 0 | -1.1 | -3 | -1.9 | -2.7 | -11.4 |
| 2019 | -0.2 | -1.9 | -3.4 | 2.2 | 3.9 | -2.5 | 2.6 | 0.3 | 3.7 | -2.7 | 1.2 | -0.8 | 2 |
| 2020 | 5.4 | 1.6 | 13.2 | 7.9 | -1.5 | -2 | -2.4 | -2.8 | -1.7 | 3 | -3.2 | -1.3 | 15.9 |
| 2021 | -4.8 | -7.3 | 0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -11.4 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
